Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 2 | 3 |
| Score | -4.8 | -3.6 | 1.8 |
| Market Cap (Millions USD) | 334.45 | 318.3 | 356.91 |
| Predicted Beta | 0.47 | 0.48 | 0.59 |
| Idiosyncratic Volatility | 7.46 | 6.03 | 8.61 |
Annualized return and volatility
| BBH | |
|---|---|
| Annualized Return | 0.1063 |
| Annualized Std Dev | 0.2825 |
| Annualized Sharpe (Rf=0%) | 0.3763 |
Row
Daily Return Statistics
| BBH | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1229 |
| Quartile 1 | -0.0078 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0092 |
| Maximum | 0.1005 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0178 |
| Skewness | -0.0772 |
| Kurtosis | 4.3477 |
Downside Risk
| BBH | |
|---|---|
| Semi Deviation | 0.0127 |
| Gain Deviation | 0.0127 |
| Loss Deviation | 0.0131 |
| Downside Deviation (MAR=210%) | 0.0171 |
| Downside Deviation (Rf=0%) | 0.0124 |
| Downside Deviation (0%) | 0.0124 |
| Maximum Drawdown | 0.7269 |
| Historical VaR (95%) | -0.0271 |
| Historical ES (95%) | -0.0420 |
| Modified VaR (95%) | -0.0275 |
| Modified ES (95%) | -0.0440 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-03-06 | 2002-07-10 | 2010-03-09 | -0.7269 | 2562 | 598 | 1964 |
| 2015-07-21 | 2016-02-08 | 2019-12-20 | -0.3376 | 1133 | 143 | 990 |
| 2014-02-25 | 2014-04-11 | 2014-08-26 | -0.2200 | 130 | 35 | 95 |
| 2010-03-23 | 2010-05-26 | 2011-04-11 | -0.1968 | 270 | 47 | 223 |
| 2011-07-05 | 2011-08-10 | 2011-10-27 | -0.1837 | 83 | 27 | 56 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | BBH | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 3.2 | 4.9 | 0.0 | 5.6 | 3.4 | 0.0 | 5.0 | 0.2 | 0.0 | 4.0 | 3.3 | 0.0 | 33.6 |
| 2001 | -2.6 | -0.9 | 0.0 | 0.6 | 2.9 | 0.0 | 0.0 | 0.0 | 1.4 | 1.7 | 0.0 | 0.0 | 3.1 |
| 2002 | 2.3 | 1.3 | 1.7 | -0.7 | 0.0 | -7.5 | -4.4 | 0.0 | 3.7 | 1.1 | 0.0 | 0.0 | -2.9 |
| 2003 | 0.0 | 0.0 | 1.0 | 1.2 | 0.0 | 0.0 | -1.8 | 0.0 | 1.2 | 0.0 | 2.2 | 0.0 | 3.7 |
| 2004 | 0.0 | 0.1 | 1.9 | 0.0 | 0.5 | -1.0 | 0.0 | 1.1 | 1.6 | -0.2 | 1.4 | 0.0 | 5.6 |
| 2005 | 0.7 | 1.0 | -1.0 | 0.0 | 1.6 | 0.6 | 1.9 | 1.3 | 0.0 | 0.1 | 1.7 | 0.0 | 8.1 |
| 2006 | 1.8 | -0.1 | 0.0 | -1.0 | 0.8 | 0.0 | -0.4 | 0.5 | 0.0 | -1.1 | -0.4 | 0.0 | 0.1 |
| 2007 | 0.8 | -1.8 | 0.0 | 1.7 | 0.3 | 0.0 | -0.7 | 0.0 | 0.7 | -1.6 | 0.0 | 0.0 | -0.8 |
| 2008 | 1.1 | 0.0 | 1.8 | 1.5 | 0.0 | 2.1 | -3.0 | 0.0 | -1.1 | 0.0 | -5.1 | 0.0 | -3.0 |
| 2009 | 0.0 | 0.0 | -2.2 | -1.4 | -0.1 | 0.1 | 0.0 | -1.0 | -2.2 | 0.0 | 1.0 | 0.0 | -5.6 |
| 2010 | -0.2 | 0.9 | 1.0 | 0.0 | -1.4 | -1.1 | 0.0 | 2.9 | 0.5 | 0.3 | 1.4 | 0.0 | 4.3 |
| 2011 | 0.6 | 0.2 | -0.3 | 0.0 | -1.4 | 0.7 | -1.2 | -0.8 | 0.0 | -2.3 | 0.4 | 0.0 | -4.0 |
| 2012 | 2.1 | 0.9 | 0.0 | -0.4 | -2.7 | 0.0 | -1.2 | 0.0 | 0.8 | 1.4 | 0.0 | 0.0 | 0.8 |
| 2013 | 1.7 | 1.1 | -0.3 | -1.1 | 0.0 | 4.4 | 1.6 | 0.0 | 1.6 | 0.8 | 0.0 | 0.0 | 10.0 |
| 2014 | 0.0 | 0.0 | 2.6 | 0.9 | 0.0 | 2.4 | -0.5 | 0.0 | -1.4 | 0.0 | -0.6 | 0.0 | 3.2 |
| 2015 | 0.0 | 0.0 | -1.2 | 2.9 | -0.3 | 0.4 | 0.0 | -2.7 | 1.0 | 0.0 | 0.5 | 0.0 | 0.5 |
| 2016 | 0.7 | 4.1 | 2.5 | 0.0 | 0.2 | 2.0 | 1.9 | 0.1 | 0.0 | 1.0 | -1.6 | 0.0 | 11.3 |
| 2017 | 1.2 | 0.5 | 0.0 | 0.5 | 1.5 | 0.0 | -0.5 | 0.6 | 0.0 | -0.1 | 0.0 | 0.0 | 3.6 |
| 2018 | 0.0 | -1.6 | 0.0 | 0.1 | 1.6 | 0.0 | 0.8 | 0.0 | -0.7 | 3.3 | 0.0 | 0.0 | 3.4 |
| 2019 | 0.4 | 1.5 | 0.7 | -0.9 | 0.0 | 0.7 | 0.6 | 0.0 | -1.5 | 2.7 | 0.0 | 0.1 | 4.4 |
Row
Rolling Performance Chart
Snail Trail Chart
